public HistoricalDataMessage(int reqId, IBApi.Bar bar)
{
RequestId = reqId;
Date = bar.Time;
Open = bar.Open;
High = bar.High;
Low = bar.Low;
Close = bar.Close;
Volume = bar.Volume;
Count = bar.Count;
Wap = bar.WAP;
}
public override void historicalData(int reqId, IBApi.Bar bar)
{
Tuple <ISubject <Bar>, bool> historical_data;
if (_historicalDataDict.TryGetValue(reqId, out historical_data))
{
DateTime timestamp;
if (historical_data.Item2) // intraday
{
long epochtime = long.Parse(bar.Time); // the "time" string is in Epoch seconds
timestamp = Epoch.AddSeconds(epochtime);
}
else
{
timestamp = DateTime.ParseExact(bar.Time, "yyyyMMdd", DateTimeFormatInfo.InvariantInfo);
}
historical_data.Item1.OnNext(new Bar(timestamp.Ticks, (decimal)bar.Open + Zero00, (decimal)bar.High + Zero00, (decimal)bar.Low + Zero00, (decimal)bar.Close + Zero00, bar.Volume, (decimal)bar.WAP));
}
}
